Parameters

Metronome HistoryMaker allows parameters to be set that create realistic synthetic data. These are described as follows:

Time

Weekends

7 Day markets may be generated
by selecting this option. The effect of this is that prices will be generated
on these dates but if weekends are disallowed there will be increased gapping
on the Monday.open, as the market is not able to trade on the weekend.

Ticks Per Day

Market liquidity may be
accurately simulated. The daily volatility specified is translated to
tick-by-tick volatility.

Random Date Range

Some testing methods require
random slices of time to be created within fixed time periods. Here the
minimum period within this range can be specified.

Price

Fixed Price Seed

This is the
initial value of price to start the simulation. This can be disabled allowing
the system to select random starting prices between a specified minimum and
maximum.

Bounds

Minimum and maximum price bounds
can be enabled and specified. The generated price will not exceed these
limits.

Hard/Soft bounds

The specified price bounds are
strictly observed however the price behaviour as they are approached is
controlled here. Hard limits will simply reverse the trend immediately on the
next tick while Soft limits will cause this effect to be more subtle.

Normal

Daily Volatility as a percentage
is set here.

Bias

A trend factor can be set. e.g.
5% means that there is an underlying trend of 5% growth per year.

Shock

Setting for example 100
Days/Event at 3 Magnitudes specifies a probability that about every 1 in 100
days there will be a price event up to 3 times the normal standard deviations
in size.

Volume

Bounds

Minimum and
maximum volume bounds may be specified. Realistic volume data are synthesised
based on trend strength and daily range characteristics.

Dirty Data

Bad Ticks

The percentage
of bad ticks can be enabled and specified. The percentage refers to the
number of bars that are affected by corruption. For example a setting of 2%
means that 1 in 50 bars will contain an error of some kind.

All trading in financial markets involves degrees of risk-taking. While Metronome HistoryMaker (TM) (the product) could aid in establishing measures of risk inherent in mechanical trading systems, however it WILL NOT guarantee their profitability.

The intended use of the product is to identify trading systems' risk characteristics, not to prove that a particular trading system is risk-free.

Disclaimer

Metronome Trading Systems Pty Ltd will in no way take responsibility for the financial obligations entered into or losses incurred by the user of the product as a result of testing a trading system for which recommendations are produced to deal in financial markets.